A Multivariate Markov Regime‐Switching High‐Frequency‐Based Volatility Model for Optimal Futures Hedging
提出一个多元马尔可夫区制转换高频波动率模型，用于建模现货和期货收益的协方差结构并估计对冲比率。基于标普500指数数据的实证表明，该模型在高波动区制下响应更快，且样本外对冲表现优于传统模型，即使考虑交易成本也保持稳健。
This study proposes a multivariate Markov regime‐switching high‐frequency‐based volatility (MRS‐HEAVY) model for modeling the covariance structure of spot and futures returns, and estimating the associated hedge ratios. S&P 500 equity index data are used in estimations, and the results reveal that the MRS‐HEAVY model has a shorter response time than that of the Markov regime‐switching GARCH model; this difference is more pronounced in the high‐volatility regime than in the low‐volatility regime. Out‐of‐sample hedging exercises illustrate that the MRS‐HEAVY exhibits superior hedging performance in terms of both variance reductions and utility gains; it is robust even when transaction costs are considered. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:1124–1140, 2017